A Course in Financial Calculus

by Alison Etheridge

Overview

This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing formula is first derived in the simplest financial context. Subsequent chapters are devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A large number of exercises and examples illustrate how the methods and concepts can be applied to realistic financial questions.

Product Details

ISBN-13:	9780521813853
Publisher:	Cambridge University Press
Publication date:	08/15/2002
Pages:	206
Product dimensions:	7.32(w) x 10.35(h) x 0.55(d)

Table of Contents

Preface; 1. Single period models; 2. Binomial trees and discrete parameter martingales; 3. Brownian motion; 4. Stochastic calculus; 5. The Black-Scholes model; 6. Different payoffs; 7. Bigger models; Bibliography and further reading; Notation; Index.

Editorial Reviews

Etheridge offers an interesting, self-contained, and readable book highlighting advanced mathematical techniques used to solve complex financial market problems. Recommended." Choice

From the Publisher